(1) Background: One mechanism through which physical activity (PA) provides benefits is by triggering activity at a molecular level, where neurotrophins (NTs) are known to play an important role. However, the expression of the circulating levels of neurotrophic factors, brain-derived neurotrophic factor (BDNF) and neurotrophin-4 (NT-4/5), in response to exercise, is not fully understood. Therefore, the aim was to provide an updated overview on the neurotrophin (NT) variation levels of BDNF and NT-4/5 as a consequence of a long-term aerobic exercise intervention, and to understand and describe whether the upregulation of circulating NT levels is a result of neurotrophic factors produced and released from the brain, and/or from neurotrophic secreting peripheral organs. (2) Methods: The articles were collected from PubMed, SPORTDiscus, Web of Science, MEDLINE, and Embase. Data were analyzed through a narrative synthesis. (3) Results: 30 articles studied humans who performed training protocols that ranged from 4 to 48 weeks; 22 articles studied rodents with an intervention period that ranged from 4 to 64 weeks. (4) Conclusions: There is no unanimity between the upregulation of BDNF in humans; conversely, concerning both BDNF and NT-4/5 in animal models, the results are heterogeneous. Whilst BDNF upregulation appears to be in relative agreement, NT-4/5 seems to display contradictory and inconsistent conclusions.